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Location

New Delhi | India

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Job description

∙Experience in valuation of derivatives or structured products, development, or validation of pricing models across various asset classes viz., Equities, Credit, IR, FX, Commodities, Mortgages, etc.

∙Strong understanding of regulatory requirements related to model risk management including but not limited to SR11-7/SR15-18/CCAR/DFAST/CECL.

∙Strong analytical skills. Excellence in stochastic calculus, Interest rate models, Counterparty Credit Risk, VaR, time series analysis, simulation techniques, option pricing theory (quant models for pricing and hedging derivatives).

∙Programming skills: Excel VBA, R, Python. Expertise in one of these programming languages is a must. Working knowledge of Vendor models: Bloomberg, Bloomberg MARS/DLIB, Riskmetrics, Numerix, Murex, Intex, etc.

∙Personal drive and positive work ethic to deliver results within tight deadlines and in demanding situations without compromising on quality, ethical standards, and values.

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Salary